We analyse the dynamics of liquidity in an electronic limit order book using the Exchange
Liquidity Measure (XLM), a measure of the cost of a roundtrip trade of given size V. We use …

In this paper we use the Exchange Liquidity Measure (XLM) to investigate into the time
dimension of liquidity. The XLM (V) measures the cost of a roundtrip trade of size V. Besides a …

New asset classes are originally distributed via over the counter channels; mostly negotiated,
traded, and settled on a bilateral and ad-hoc basis. Subsequently, the demand for …

Latency is one of the major issues in today’s electronic securities trading. The demand for
low latency services has increased tremendously since the advent of algorithmic trading. …

Latency is one of the major issues in today's trading business. Market participants have an
increasing demand for low latency services as more trading decisions are taken by computer …

Markets in Financial Instruments Directive – The Way forward in European Securities Markets
Integration? Michael Chlistalla, Page 1 Markets in Financial Instruments Directive – The Way …

Electronic order book trading has evolved in being recognized as the best‐practice for trading
small and mid‐sized orders. Yet, this mechanism does not properly address the needs of …

… * We thank Oliver Maurer, Uwe Schweickert and seminar participants at the University of …
Uwe Schweickert offered invaluable expertise in the trading systems and support for our …

… We thank two anonymous referees, Miroslav Budimir, Oliver Maurer, Uwe Schweickert and
… Uwe Schweickert offered invaluable expertise in the trading systems and support for our …

Motivated by the debate about globally uniform accounting standards, this study
investigates whether firms using US generally accepted accounting principles (GAAP) vis‐à‐vis …